Related papers: No Trade Under Verifiable Information
We consider a revenue optimizing seller selling a single item to a buyer, on whose private value the seller has a noisy signal. We show that, when the signal is kept private, arbitrarily more revenue could potentially be extracted than if…
We study blockchain trade-intent auctions, which currently intermediate about USD 10 billion in trades each month. These auctions are combinatorial because executing multiple trade intents jointly generates additional efficiencies. However,…
We consider a pair of traders in a market where the information available to the second trader is a strict subset of the information available to the first trader. The traders make prices based on the information available concerning a…
We consider a Kyle-type model where insider trading takes place among a potentially large population of liquidity traders and is subject to legal penalties. Insiders exploit the liquidity provided by the trading masses to "camouflage" their…
We study the role of costly information in non-cooperative two-player games when an extrinsic third party information broker is introduced asymmetrically, allowing one player to obtain information about the other player's action. This…
We reconsider the microeconomic foundations of financial economics. Motivated by the importance of Knightian Uncertainty in markets, we present a model that does not carry any probabilistic structure ex ante, yet is based on a common order.…
We consider thin incomplete financial markets, where traders with heterogeneous preferences and risk exposures have motive to behave strategically regarding the demand schedules they submit, thereby impacting prices and allocations. We…
In this paper, a general framework is developed for continuous-time financial market models defined from simple strategies through conditional topologies that avoid stochastic calculus and do not necessitate semimartingale models. We then…
Over the past few years, the futures market has been successfully developing in the North-West region. Futures markets are one of the most effective and liquid-visible trading mechanisms. A large number of buyers are forced to compete with…
We consider a one-period Kyle (1985) framework where the insider can be subject to a penalty if she trades. We establish existence and uniqueness of equilibrium for virtually any penalty function when noise is uniform. In equilibrium, the…
Trades based on bilateral (indivisible) contracts can be represented by a network. Vertices correspond to agents while arcs represent the non-price elements of a bilateral contract. Given prices for each arc, agents choose the incident arcs…
In a model with no given probability measure, we consider asset pricing in the presence of frictions and other imperfections and characterize the property of coherent pricing, a notion related to (but much weaker than) the no arbitrage…
If you recommend a product to me and I buy it, how much should you be paid by the seller? And if your sole interest is to maximize the amount paid to you by the seller for a sequence of recommendations, how should you recommend optimally if…
This paper develops a dynamic equilibrium model where agents exhibit a strong form of belief heterogeneity: they disagree about zero probability events. It is shown that, somewhat surprisingly, equilibrium exists in this setting, and that…
We study bilateral trade with interdependent values as an informed-principal problem. The mechanism-selection game has multiple equilibria that differ with respect to principal's payoff and trading surplus. We characterize the equilibrium…
In online bilateral trade, a platform posts prices to incoming pairs of buyers and sellers that have private valuations for a certain good. If the price is lower than the buyers' valuation and higher than the sellers' valuation, then a…
In a model with no given probability measure, we consider asset pricing in the presence of frictions and other imperfections and characterize the property of coherent pricing, a notion related to (but much weaker than) the no arbitrage…
This paper studies arbitrage pricing theory in financial markets with implicit transaction costs. We extend the existing theory to include the more realistic possibility that the price at which the investors trade is dependent on the traded…
We study a setting where Bayesian agents with a common prior have private information related to an event's outcome and sequentially make public announcements relating to their information. Our main result shows that when agents' private…
The design of privacy mechanisms for two scenarios is studied where the private data is hidden or observable. In the first scenario, an agent observes useful data $Y$, which is correlated with private data $X$, and wants to disclose the…